Combining NeuroEvolution and Principal Component Analysis to trade in the financial markets.

•A system that uses PCA and NEAT to generate a lucrative trading signal is proposed.•PCA is used to reduce the dimensionality of the input financial data.•NEAT creates and evolves the neural network that generates the trading signal.•The proposed system outperforms the B&H strategy in multiple markets.•The PCA method has a big influence in the performance of the system.